Quickest Detection Problems: Fifty Years Later
From MaRDI portal
Publication:3068080
DOI10.1080/07474946.2010.520580zbMath1203.62137MaRDI QIDQ3068080
Publication date: 13 January 2011
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474946.2010.520580
Brownian motion; minimax formulation; sufficient statistics; disorder; disruption; free-boundary problems; quickest detection; Bayesian formulation; \(\pi\)-, \(\psi \)-, and CUSUM processes; discrete-time \(\theta \)- and \(G\)-models; multistage scheme and procedures; spontaneously appearing effects
62F15: Bayesian inference
62L10: Sequential statistical analysis
62L15: Optimal stopping in statistics
Related Items
Detecting changes in real-time data: a user’s guide to optimal detection, Quickest detection of a state-dependent change-point in discrete time, Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund, Quickest detection of an accumulated state-dependent change point, Sequential tracking of an unobservable two-state Markov process under Brownian noise, Quickest Detection of Changes in the Generating Mechanism of a Time Series via the ε-Complexity of Continuous Functions, An algorithm to solve optimal stopping problems for one-dimensional diffusions, Detection and estimation of multiple transient changes, Optimal execution with multiplicative price impact and incomplete information on the return, Model misspecification in discrete time Bayesian online change detection, New approach to the segmentation problem for time series of arbitrary nature, Sequential negative binomial problems and statistical ecology: a selected review with new directions, State-of-the-art in sequential change-point detection, Testing randomness online, Quickest real-time detection of a Brownian coordinate drift, Optimal dividends with partial information and stopping of a degenerate reflecting diffusion, Quickest drift change detection in Lévy-type force of mortality model, Shewhart’s Idea of Predictability and Modern Statistics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal detection of a change in distribution
- Optimal stopping times for detecting changes in distributions
- A note on Ritov's Bayes approach to the minimax property of the cusum procedure
- Optimality of the CUSUM procedure in continuous time.
- CONTROL CHARTS WITH WARNING LINES
- Properties and Use of the Shewhart Method and Its Followers
- A lower bound for the detection/isolation delay in a class of sequential tests
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
- A generalized change detection problem
- On Optimum Methods in Quickest Detection Problems
- Procedures for Reacting to a Change in Distribution
- General Asymptotic Bayesian Theory of Quickest Change Detection
- CONTINUOUS INSPECTION SCHEMES
